On the Cumulants of the First Passage Time of the Inhomogeneous Geometric Brownian Motion

On the Cumulants of the First Passage Time of the Inhomogeneous Geometric Brownian Motion

We consider the problem of the first passage time <i>T</i> of an inhomogeneous geometric Brownian motion through a constant threshold, for which only limited results are available in the literature. In the case of a strong positive drift, we get an approximation of the cumulants of <i...

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Bibliographic Details
Main Authors: Elvira Di Nardo, Giuseppe D’Onofrio
Format: Article
Language:English
Published: MDPI AG 2021-04-01
Series:Mathematics
Subjects:
hitting times
Brennan–Schwartz model
formal power series
multiplicative noise
Online Access:https://www.mdpi.com/2227-7390/9/9/956

Internet

https://www.mdpi.com/2227-7390/9/9/956

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